Araújo Santos, Paulo; Fraga Alves, Isabel; Hammoudeh, … - In: The North American Journal of Economics and Finance 26 (2013) C, pp. 487-496
Recurrent “black swans” financial events are a major concern for both investors and regulators because of the extreme price changes they cause, despite their very low probability of occurrence. In this paper, we use unconditional and conditional methods, such as the recently proposed high...